This literature has used nonstationary Bayesian models like Example REF  in some recent proofs. In particular, [1]}, [2]}, [3]} have analyzed the value of adversarial bandit problems by using the minimax theorem to convert it into a Bayesian problem and then applying information theoretic proofs in the style of [4]}, [5]}. To our knowledge, these information theoretic proofs cannot be used to prove Proposition REF .
